I really didn't always play fair with the bidding either. I was outbid a good bit of the time, but then an Ally mage made a mistake by showing me how bad they wanted a few pieces, so I made them pay quite a bit more than what it usually goes for on my server. I ended up purposely bidding up pieces - it was great. If you want it that bad, you will pay the higher price.
Frostfire Gloves - Bought on 3.30.13 for 10k
Frostfire Belt - Bought on 6.23.13 for 11k
Frostfire Sandals - Bought on 7.22.13 for 10k
Frostfire Shoulderpads - Bought on 8.24.13 for 30k
Frostfire Circlet - Bought on 8.31.13 for 30k
Frostfire Bindings - Bought 10.5.13 for 10k
Frostfire Leggings - Bought 10.14.13 for 10k
Frostfire Robe - Bought 12.25.13 for 50k
If you want a similar look without having to break your bank, you can always opt for collecting the Heroes' Frostfire Garb from the 10 man Naxx raid, or the Valorous Frostfire Garb from the 25 man Naxx raid. Both are very pretty, and I wore the brown set for quite a long time.
So after 9 months of collecting, I really have nothing else to say about it except that I am extremely happy with my purchase and the last piece couldn't have come at a better time! I will definitely be wearing this transmog for a LOOOONG time to come!